Controlling an order slicer for trading a financial instrument

ABSTRACT

In one aspect, the present invention provides an order slicer that receives an order that to trade a financial instrument. The order associates a trading strategy with said order. The trading strategy is replaceable. In another aspect, an interface accepts a trading strategy of an order to trade a financial instrument. A transmitter transmits the trading strategy to an order slicer.

CROSS REFERENCE TO RELATED APPLICATIONS

This application is a divisional application of, and takes priorityfrom, U.S. patent application Ser. No. 11/009,194, filed Dec. 10, 2004and now U.S. Pat. No. 8,140,423, issued Mar. 20, 2012, from whichpriority is asserted, and the contents of which are herein incorporatedby reference in their entirety.

BACKGROUND OF THE INVENTION

1. Field of the Invention

The present invention relates to market trading. The present inventionrelates more particularly to controlling an order slicer for varying orreplacing a trading strategy in response to changing market conditions,customer requirements, or other factors.

2. Description of the Related Art

Markets have existed for centuries, allowing traders to buy and sellfinancial instruments, such as securities and commodities. Examples ofsecurities include stocks, bonds, futures and options. Examples ofcommodities include currencies, metals, and grain. Today, examples ofsecurities markets include “The New York Stock Exchange” (NYSE), “TheNational Association of Equity Dealers Automated Quotation” (NASDAQ)System, and the “American Stock Exchange” (AMEX). These modem financialinstrument markets facilitate the exchange of over two billion shares ofstock every business day.

Professional traders typically have different timing objectivesassociated with different orders. For example, some orders may need tobe executed quickly because the trader believes that the price maychange unfavorably in the near future. Other orders may have to beexecuted slowly in order to achieve the best possible price. An exampleof this would he a trader wishing to execute a large order, perhaps100,000 units, in a market. Normally, the appearance of such a Largeorder in the market could adversely affect the current market price ofthe security. For instance, the appearance of a large “buy” order couldadversely drive up the price of a financial instrument, such as stock,commodity or currency. Similarly, the appearance of a large “sell” ordercould adversely depress the price of the financial instrument. Thetrader may have as an objective to avoid this effect, or he may decidethat it is more important to trade the stock quickly and accept theprice impact.

Thus, a trading objective can be generally defined as an aim, goal, orend of market trading activity. These objectives could be followed as ameans for maximizing the profit of an order for trader, such asmaximizing capital gains.

Once the trading objective for the order is determined, it becomespossible to select an appropriate trading strategy. A trading strategycan be generally defined as a plan or scheme for achieving the tradingobjective. Examples of strategic trading choices are (a) deciding tobreak a large order into smaller sub-orders, (b) selecting one or moreappropriate market executing venues from a number of possibilities withdiffering capabilities, and (c) selecting the best timing for sendingsub-orders into the market.

The use of sub-orders has led to the development of various computeralgorithms for deconstructing orders into smaller sub-orders and sendingthese sub-orders into the market. A system that implements such analgorithm is known as an “order slicer.” Various conventional orderslicers are in use for generating sub-orders and sending them to themarket. Typically, the trader sends an order to the order slicer fromhis order management system via a communications link. The order slicerreceives the order, and starts executing the order according to a fixedstrategy (for example, to split the order up into smaller sub-orders andtry to participate in a certain percentage of the total traded volume inthe market for that financial instrument).

The use of a conventional order slicer brings a new set of problems forthe trader. In particular, if the trading objective for art orderchanges, the conventional order slicer is limited in how its strategycan be varied to suit the new trading objective or objectives. Forexample, the trader may judge that an order currently being sliced willachieve a better price if traded more heavily later in the day. As aresult of the new objective, the trader has the need to modify thestrategy employed by the order slicer. Conventional order slicers onlysupport interacting with the order slicer via the trader's ordermanagement system. To change the order slicer's strategy will typicallyrequire an order modification (cancel/replace) to be issued by thetrader, which would include a new set of parameters added to the orderto control the order slicer.

Furthermore, this new set of parameters may adjust some of the detailsof the trading strategy, but the overall trading strategy remainsconstant. If a trader wishes to replace one trading strategy withanother trading strategy (for example, switching from a strategy ofparticipating in a certain percentage of the day's trading volume to astrategy where the order slicer increases the trading rate towards theend of the trading day), he or she will typically cancel the order fromhis order management system and send it to a different order slicer witha different strategy, closer to what the trader envisages he or sheneeds.

This use of “cancel/replace” from within an order management system tocontrol parameters of a fixed strategy order slicer, or the use of afull cancel and subsequent sending of an order to a differentdestination in order to switch to a different strategy, can be asomewhat disruptive and cumbersome event in market trading.

Therefore, there is a need for a technique for controlling art orderslicer in which the order slicer can accept strategy changes in realtime, so that a trader can vary the strategy of the order slicer inresponse to market conditions and customer requirements.

SUMMARY OF THE INVENTION

In one aspect, the present invention provides an order slicer thatreceives an order. The order is to trade a financial instrument. Theorder slicer associates a trading strategy with the order, and thetrading strategy is replaceable. In another aspect, an interface acceptsa trading strategy of an order to trade a financial instrument. Atransmitter transmits the trading strategy to an order slicer. Inanother aspect, the interface is not used to generate the order.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 illustrates a system for updating an order slicer.

FIG. 2 illustrates a display of an interface for the system of FIG. 1.

FIG. 3 illustrates a graph of data for use with updating an orderslicer.

FIG. 4 illustrates a visual indicator for illustrating the percentage ofsales quantity a sub-order represents of the total sales volume for afinancial instrument.

FIG. 5 illustrates a method for varying a trading parameter andreplacing or updating a trading objective and a trading strategy in anorder slicer controller.

FIG. 6 is a flow chart of a computer system for use with an order slicerand order slicer controller.

DESCRIPTION OF THE INVENTION

Before proceeding with a description of the present invention, it iswell to define certain terms as used herein.

The term “module” is used herein to demarcate a functional operationthat may be embodied either as a stand-alone component or as one of aplurality of components in an integrated assembly.

The term “order slicer” is used herein to refer to a device or systemthat can break down an order for a financial instrument into smallerindividual discrete sub-orders. The order slicer can be embodied inhardware, software, firmware, or a combination thereof.

The term “order management system” (OMS) is used herein to refer to amodule that can issue “buy” or “sell” commands for financialinstruments. The OMS can also issue other associated information, suchas the name and quantity of the financial instrument. The OMS can beembodied in hardware, software, firmware, or a combination thereof.

The term “real time” is used herein to refer to responding to events asthey occur.

“Variable” can be generally defined as changing the behavior of a firstfunction by changing a parameter within the first function.

“Replaceable” can generally be defined as a first function capable ofbeing completely replaced by, or exchanged for, a second function. Thesecond function does not necessarily employ the same algorithm as thefirst function. Furthermore, the second function is not necessarilycontrolled by the same parameters or constants as the first function.

“Quantity” generally refers to the units of sale of a financialinstrument for a given order.

“Volume” generally refers to the total sales of a financial instrumentin a market for a given time period.

Referring to FIG. 1, there is illustrated a system generally representedby reference numeral 100 for placing orders to buy or to sell afinancial instrument. System 100 includes an OMS 110, an order slicer120, an order slicer controller 130, an order slicer controllerinterface 135, and a market database 170. Order slicer controller 130and OMS 110 can be integrated into one module or order slicer controller130 and OMS 110 can be physically separate or distributed in a pluralityof modules. Alternatively, order slicer 120 and order slicer controller130 can be integrated into a single module.

A trader 140 provides initial trading parameters 145 that relate to anorder to by or sell a financial instrument. Trader 140 can be adecision-making entity, such as a human, a processing module includingsoftware, or a legal entity. Trader 140 also provides marketinstructions 102 including a trading objective 185, a trading strategy184 and a trading parameter 141, to order slicer controller interface135 and market database 170.

Trading objective 185 is an aim, goal, or desired end result of markettrading activity. Some examples of trading objective 185 determined orimposed trader 140 are (a) to minimize market impact of an order, (b) toattempt to get the best possible price, and (c) to attempt to executethe order as quickly as possible irrespective of other considerations.These trading objectives could be implemented as a technique formaximizing the profit of an order for trader 140, or trying to reapcertain tax benefits. In other words, given the dynamics of the market,following any of (a), (b), or (c) trading objectives could have the mostfavorable results for trader 140.

For instance, assume trader 140 believes that the best approach tomaximize profit trading is to “(a)”, minimize the market impact of anorder. This could be because trader 140 believes that it would be bestnot to indicate to other buyers or sellers actions in which trader 140is engaging. However, if trader 140 believes that the best approach tomaximize profit trading is to “(b)” attempt to get the best possibleprice, trader 140 may not be as worried about other buyers or sellersdiscerning the traders intentions regarding a given financialinstrument. However, if trader 140 believes that the best approach tomaximize profit trading is to “(c)” to attempt to execute the order asquickly as possible irrespective of other considerations, trader 140 maybelieve that the market for a financial instrument is going to quicklycollapse (or rise), and the most advantageous position for trader 140 isto try to sell (or buy), and not worrying about other traders discerninghis behavior.

As an example of trading objective 185 type “(c)” is that tradingobjective 185 be a requirement that an order finish during the timeallotted to the order (“time in force”), or that at least a quantity ofthe order finish during time in force, irrespective of marketconditions.

Trading objective 185 is replaceable. In other words, option “(c)”,above could have replaced option “(a)”.

A trading strategy can be generally defined as a plan or scheme forachieving trading objective 185. Examples of strategic trading choicesare “(a)” deciding to break a large order into smaller sub-orders, “(b)”selecting one or more appropriate market executing venues from a numberof possibilities with differing capabilities, and “(c)” selecting thebest timing for sending sub-orders into the market.

As an example of trading strategy 184 of type “(c)”, trading strategy184 is a target quantity distribution of the order to be executed duringa time period. Target quantity can be generally defined as the quantityof a financial instrument a trader wishes to trade in a time period.Target quantity distribution can be generally defined as targetquantities for two or more time segment. Target quantity distribution issent to order slicer 120. For instance, a target quantity distributioncould be set for 1000 shares for 12:00 p.m. to 1:00 p.m., and 3000shares for 1:00 p.m. to 2:00 p.m.

Trading strategy 184 can be represented by an equation, such as apolynomial. For instance, if trading strategy 184, is to “a” ofselecting the best timing for sending sub-orders into the market, theequation could have the desired sub-order quantity and time to sell agiven sub-order represented as follows:At ² +Bt+C=volume of sub-order for time “t”,  (Equation. 1)

Where the variables A, B and C are derived through statistical analysisof market data or input as initial trading parameters 145, and “t”represents the incremental time for a given sub-order to be traded.

Trading strategy 184 can be varied. For instance, new statistical datamay indicate that the value of A should be varied. For example, itshould be increased by the value of “5”. Therefore, a varied polynomialfor trading strategy 184 would read:(A+5)t ² +Bt+C=volume of sub-order at time “t”.  (Equation 2)

Trading strategy 184 is replaceable. In other words, one equation fortrading strategy 184 can be replaced with a completely differentequation. For instance, Equation 1 could be replaced with (for example):A Sin 2t−(B−1)2 cos³ 2t+D=volume of sub-order at time “t.”  (Equation 3)

Trading strategy 184 can be a function or functions, such as apolynomial or Fourier series or sequence. Trading strategy 184 can bevaried or replaced during the pendancy of the order, that is, before afirst sub-order has executed, or alternatively the I 59 order is open.

Trading strategy 184 can be represented by a sequence of programmedsteps, such as a script in a programming language. For instance, iftrading strategy 184 is “(a)” select the best timing for sendingsub-orders into the market, the script could describe the desiredsub-order quantity and time to sell a given sub-order as follows: 1:wait until 3:05 p.m.; 2: send sub-order quantity A; 3: wait until 3:15pm; 4: send sub-order quantity B; 5: wait until 3:30 p.m.; 6. ifprice >$35.00 then send sub-order quantity C. The times for implementingprogrammed steps 1 to 6 and quantities A to C may be derived throughstatistical analysis of market data and input as an equation or scriptcorresponding to trading strategy 184 or input as initial tradingparameter 145.

When trader 140 wishes to generate trading strategy 184, one type oftrading strategy 184 to implement, for example, option “c” is referredto an “aggressiveness level.” An aggressiveness level for trading afinancial instrument can be generally defined as the proportion oftraded quantity a sub-order or sub-orders represent when compared to theoverall traded volume in the market for the financial instrument duringa given time period. If trader 140 wishes to input, vary or replace theaggressiveness level, Examples will be given below,

For instance, in option “c,” trading strategy 184 sets limits as to howfar the actual trading quantity associated with a sub-order can varyfrom an aggressiveness level. For instance, a maximum variation of plusor minus 5% from an aggressiveness level of 20% could be implemented aspart of trading strategy 184. In another alternative, trading strategy184 could be set at a command to sell the entirety of the order.

For instance, trader 140 could determine that the aggressiveness levelshould be more aggressive at the beginning and end of the day, but lessaggressive towards the middle. Therefore, sub-orders would represent alower percentage of overall volume of shares traded towards the middleof the day, and a higher percentage towards the beginning and end of theday. Trader 140 can vary a start time parameter or a stop time parameteras trading parameter 141.

Initial trading parameters 145 contain an order number parameter, a sizeof order parameter, a buy or sell parameter, a name of financialinstrument parameter, a start time parameter, a stop time parameter, anda limit price parameter. The order number parameter indexes the order,the size of order parameter indicates the size of the order, the starttime and the stop time indicate the time interval over which the orderis to be sold, and the limit price is the price for which trading willstop for the order.

OMS 110 receives initial trading parameters 145 and stores them into anOMS memory 112. OMS memory 112 has an order number field 151, a size oforder field 152, a buy or sell field 153, a name of financial instrumentfield 154, a start time field 155, a stop time field 156, and a limitprice 157. Based on initial trading parameters 145 stored in fields 151to 157, OMS 110 prepares an order 159.

Order slicer 120 preferably has an order slicer calculator 124, a memory126, and a trading strategy 163. Order slicer 120 receives order 159from OMS 110, i.e., a first source, over a channel III. Order slicer120, i.e. a second source, receives trading strategy 131, from a secondsource, order slicer controller 130, over a channel 113. Tradingstrategy 131 becomes trading strategy 163. Alternatively, order slicer120 can receive a trading strategy 131 that includes a combination ofoutput from a second source and a third source.

Each of channel 111 and channel 113 can either be a logical channel or aphysical channel. An example of a physical channel is an electric wire,fiber-optic cable, or radio waves. An example of a logical channel isthe communication occurring through defined software ports.

Order slicer 120 generates sub-orders and stores them in memory 126 andissues these suborders to a market 119. For example, FIG. 1 shows asub-order 176 as being issued to market 119. Sub-order 176 is a separateorder to buy or sell a quantity of a financial instrument that can beless than the quantity of the original order 159 of the financialinstrument.

Generally, order slicer 120 accesses market database 170 to determinethe projected safes for a given financial instrument as described belowin greater detail. The projected sales can be based on an average ofsales of the financial instrument in an earlier known time period, orother algorithms. For instance, based upon trading strategy 163, orderslicer 120 calculates a first estimate of the quantity of shares to besold at a given point in time. Then, as order slicer 120 tradessub-order 176, order slicer 120 adjusts the sub-orders in memory 126 togenerally track a selected percentage of recorded market sales. However,the sub-orders in memory 126 can be recalculated by order slicer 120when trading strategy 163 is replaced or varied. Order slicer 120 canstart an execution countdown for the buy or sell orders for theindividual sub-orders, on a time basis.

Trading strategy 163 can be a copy of trading strategy 184. One suchexample of trading strategy 163 is when the trading strategy is anaggressiveness level. For example, trading strategy 163 correlates to anaggressiveness level that is varied to a value of 40% from anaggressiveness level of I 0%. However, the parameter correlating to theoverall volume of an order is defined as constant. Therefore, either astart time parameter or a stop time parameter is modified by orderslicer calculator 124 to compensate for this. In other words, the timein force (the length of time between a start time and a stop time forselling an order) changes, given that the aggressiveness level is variedand that the predicted behavior of the market stays the same.

Trading strategy 163 can take on any of the equations or parameters oftrading strategy 184. Order slicer calculator 124 calculates, as afunction of trading strategy 163, a first unexecuted sub-order of order159. However, upon receipt of trading strategy 131, order slicercalculator 124 calculates a second unexecuted-sub order of said order.For instance, if a first sub-order has a transaction quantity of 100,and aggressiveness level is raised from 10% to 20%, a second sub-ordercould be calculated that has a transaction quantity of 200.

First and second orders 159 are received by order slicer 120. Orderslicer 120 associates a first trading strategy 163 with first order 159,and a second trading strategy 163 with second order 159. Both first andsecond orders 159 are stored in order slicer 120. Order slicercontroller 120 can vary or replace second trading strategy 163 of secondorder 159 while both the first and second orders are stored within orderslicer 120.

Market database 170 has a market trades recorder 172 and a marketpredictor 174. Market trades recorder 172 generates market records 175,and market predictor 174 generates market predictions 177.

Market trades recorder 172 contains data on past and present totalmarket sales for the financial instrument. Market trades recorder 172also records trading objective 185, trading strategy 184 and tradingparameter 141.

Market predictor 174 calculates total estimated future sales for thefinancial instrument for a given period of time based upon marketrecords 175. For instance, assuming that market records 175 containsdata on past and present total market sales of XYZ Co., market predictor174 calculates and averages, for example, using data from the last tendays, an estimation of the volume of shares of XYZ Co. that will be soldover a future time period. Market predictor 174 can use a second-orderpolynomial, such as Ax²+Bx+C=“volume of shares sold” over a future timeperiod, wherein A, B, and C are derived from statistical analysis.Therefore, a graph of a prediction of future market sales, based uponstatistical averaging, may take the form of a hyperbola.

Market data 173 includes market records 175 and market predictions 177.Market data 173 is provided to order slicer 120, order slicer controller130, and trader 140. Market data 173 can be viewed by trader 140 throughaccessing order slicer controller interface 135.

Order slicer controller 130 has an order slicer controller (OSC)calculator 189, an OSC receiver 181, and OSC transmitter 183, and atrading parameter 136. Order slicer controller 130 generates variabletrading parameter 188 and trading strategy 131. Trading strategy 131 canbe a copy of trading strategy 185, and is conveyed to order slicer 120.Similarly, trading parameter 141 can be copied to trading parameter 136,and from there to order slicer 120 as variable trading parameter 188.

Order slicer controller 130 also receives real time trading parameters187. Real time trading parameters 187 parameters relate to informationconcerning trading strategy 163 or the sub-lots in memory 126. Thisinformation is forwarded over a bus 137 to order slicer controllerinterface 135.

Within trading strategy 163, it is possible to set a quantity thresholdfor ignoring large trade sizes. In other words, trades above a certainquantity will not be taken into consideration when calculatingsub-orders. By excluding this spike of quantity from order slicer 120calculations, order slicer 120 would have less impact on the market. Forinstance, if a very large trade is to take place, (for example, thelarge size trade is approximately equal to the volume of overall tradesthat typically take place for a given financial instrument over a timeperiod), and trading strategy 163 is programmed with an aggressivenesslevel, a large size trade could induce order slicer 120 to try to sellsub-orders that would also be high-quantity sub-orders. This couldadversely affect the market. Use of the quantity threshold helps toalleviate this problem.

OSC calculator 189 varies or replaces trading strategy 131 as a functionof a variation or replacement of trading objective 185. Order slicercontroller 130 can also vary variable trading parameter 136 tocompensate for varying or replacing trading objective 185 or tradingstrategy 184. Trading parameter 136 is output as variable tradingparameter 188. Alternatively, order slicer controller 130 varies orreplaces trading strategy 131 for submittance to order slicer 120.

Trading parameter 133 and the calculated trading strategy is thentransmitted to order slicer controller interface 135 over a bus 137.

OSC calculator 189 calculates, for a time interval, a predicted ratio oftrading quantity an unexecuted sub-order represents of a total predictedtrading volume for the financial instrument. For example, if for a timeinterval, an unexecuted sub-order trade has a predicted trading quantityof 200 shares, and during the same time interval, the financialinstrument is predicted to sell 1000 shares, a predicted ratio oftrading quantity for the unexecuted sub-lot is 20% of the overalltrading volume for the financial instrument. Trading parameter 133 andthe calculated trading strategy is then transmitted to order slicercontroller interface 135 over bus 137.

OSC calculator 189 calculates, for a time interval, a realized ratio,such as a percentage, of trading quantity an executed sub-orderrepresents of a total executed trading volume for the financialinstrument. For example, if for a time interval, a sub-order has atrading quantity of 100 shares, and during the time interval, thefinancial instrument sold 1000 shares, the realized ratio of tradingquantity for the sub-lot is 10%.

OSC calculator 189 calculates, as a function of real-time tradingparameters 187, a predicted ratio of trading quantity the secondunexecuted sub-order represents of the total predicted amount of volumefor the financial instrument over the time interval.

Within OSC calculator 189, trading strategy 131 can be derived fromtrading objective 185. For instance, if trading objective 185 is “(a)”of minimizing the impact of an order on market 119, then tradingstrategy 131 could be that of “(a)” breaking the order into smallerquantity sub-orders, and minimizing time intervals between consecutivesub-order trades. However, if trading objective 185 is “(b)”, attemptingto get the most favorable results in terms of immediate cash, thentrading strategy 131 could include a change of venue for an order.

OSC calculator 189 generates an expected rate curve based on marketdata. Expected rate curve is a mathematical expression that is generallybased on a previous trading volume for a same or similar stock over asimilar period, and is the expected rate of trading for a particularfinancial instrument. In one embodiment, an expected rate calculationfor expected rate curve 310 is based on the previous day's tradingvolume, and uses a 2^(nd) order polynomial approximation. One reason forusing a polynomial, such as a 2^(nd) order polynomial, is that thisgenerates a parabola, and it has been generally found that volume ofsales for an financial instrument tends to be parabolic over a givenday. Therefore, the previous day's trading amounts are smoothed usingthis parabolic. Expected rate curve 310 can be updated and modified withmarket data 173. However, other predictive approximations than aparabola can be used, and other time periods from which to average canalso be used.

OSC calculator 189 calculates an average target-trading rate that shouldbe achieved by order slicer 120 to fill order 159 for a given timeperiod. Order slicer 120 then seeks to have sub-order 175 quantitycorrespond to this rate. Target trading rate can be a hyperbola, and soon, depending upon received variable trading strategy 184.

It is possible that, as the relationship between trade volume and thequantity of the executed sub-orders did not follow target trading curve.In other words, market 119 did not behave as predicted. Therefore, aslicing of order 159 would not be completed at a set level ofaggressiveness as set by trading strategy 163. OSC calculator 189 thenwould itself vary trading strategy 163 so to meet actual markettransactions. Alternatively, trading strategy 163 could set by OSCcalculator 189 to be a fixed level of trading aggressiveness,irrespective of market behavior, thereby allowing the order to finishearly or not to finish at all.

Order slicer controller interface has a variety of techniques forselecting among differing trading objectives 185, trading strategies184, or trading parameter 141. These can include pull down menus orkeypad entries, as will be described later in more detail.

Order slicer controller interface 135 displays a predicted ratio tradingquantity associated with first unexecuted sub-order and secondunexecuted suborder. In other words, this is the percentage a quantityof an unexecuted sub-order represents of a predicted volume for afinancial instrument.

Order slicer controller interface 135 receives input from order slicercontroller 130 over bus 137 regarding other characteristics pertainingto the remaining sub-orders for each order that are being processed byorder slicer 120. This information can be expressed as real time tradingparameter 187. This information can include the size and type of eachfuture sub-order sale for a given order, the time in force for order159, and so on, which is then displayed on order slicer controllerinterface 135

Order slicer controller interface 135 includes an input device, such asa keyboard or speech recognition subsystem. Order slicer controllerinterface 135 also includes an output device such as a display or aprinter. A cursor control such as a mouse, track-ball, or joy stick,allows the user to manipulate a cursor on the display for communicatingadditional information and command selections to order slicer controllerinterface 135.

Trader 140 can provide a single indicia to generate, replace or varytrading objective 185 or trading strategy 184 through order slicercontroller interface 135. This single indicia could be, for instance, amouse click, a sound, a keyboard entry, a push-button entry, and atouch-screen entry. When trader 140 provides the single indicia,generating trading objective 185 or trading strategy 184, this can savesignificant time for trader 140. Trader 140 can also input tradingparameter 14I with a minimum of input.

One advantage of the system 100 is that buy/sell orders can be updatedin order slicer 120 without the cancellation of any unexecuted portionof order 159 and the issuance of a new order 159 by OMS 110. That is, itis not necessary to issue a “cancel” order or a “cancel/replace” order,typically a time and resource intensive process.

Referring to FIG. 2, illustrated is one embodiment of an interface 200of order slicer controller interface 135. Interface 200 includes anactive order screen 210, an average daily volume (ADV) window 220, anexecution rate (exec window) 230, and an override button 299.

Active order screen 210 lists information concerning order 159, as wellas other orders 159. One piece of information, whether order 159 is a“buy” or “sell,” is also output in active orders screen 210. Activeorders screen 210 shows the numbers of shares to be traded for eachorder 159. Finally, active orders screen 210 shows the name of thefinancial instrument for each order 159.

FIG. 2 shows an interface 200 for a particular financial instrumenttransaction, an instance of order 159, selected by trader 140, as isillustrated by a shaded area of active order screen 210, and furtherinformation concerning this order is displayed in average daily volume(ADV) window 220 and exec rate window 230.

ADV window 220 displays results of calculations as to what percentage ofsales for a particular financial instrument, over a defined timeinterval, and an executed or unexecuted sub-order transaction representswhen compared to all of the projected or actual financial instrumenttransactions for a time period.

Exec rate window 230 preferably has a sliding bar 232. Sliding bar 232is set by trader 140 to select and for vary a trading strategy 184. Theslider within exec rate window 230 can be varied by trader 140, and madehigher or lower. If this occurs, at least one of the start timeparameter, stop time parameter, either of which correspond to tradingparameter 141, or aggressiveness level, which, in the illustratedcorresponds to trading strategy 184, can vary. Trader 140 fixes anaggressiveness level through use of exec rate window 230, and variesstop time parameter of initial trading parameters 145. Trader 140 setsor varies trading strategy 184 through setting or moving sliding bar 232in execution rate window 230.

Alternatively, order slicer 120 can be ordered, through employment anoverride button 299, to ensure that a given transaction of a financialinstrument is completed during TIF, no matter what executed marketvolume turns out to be. Override button 299 is an example of tradingobjective 185 of type “c”.

Referring to FIG. 3, there is illustrated is one embodiment of a visualinterface 300 employable on order slicer controller interface 135.Visual interface 300 has a price display 302 and a volume display 304.Price display 302 shows a price for a given financial instrument atdifferent times of the day. Volume display 304 generally shows a varietyof information related to a rate of trading for a financial instrument,such as trading volume per minute, both predicted and actual, during thetrading day.

Expected rate curve 310 represents an approximation of an expectedtrading rate for a given financial instrument over a time period.Expected rate curve 310 is illustrated as a non-linear function.

A conventional trade volume graph (not illustrated) would represent thevolume and frequency of overall trades, but not the volume of tradesover time. Trade volume graph 320 takes a conventional trade volumegraph and integrates it on a “trades-per-minute” level, although thoseof skill in the art understand that other time periods are alsoemployable. Trade volume graph 320 integrates over a moving time window,thereby making it easier for trader 140 to see overall marketperformance. From this point, it is easier for trader 140 to firstdetermine and then set an aggressiveness level. In a given trading day,as the trades actually occur, the volume of trades for a given financialinstrument is illustrated in a trade volume graph 320. In theillustrated example of FIG. 3, the volume of trades is in units ofshares, but the trade volume graph 320 can be set for other tradingmeasurements.

Visual interface 300 also shows an executed sub-order sales 365. Thisrepresents the trade quantity that sub-orders executed by order slicer120 represent from a point in the past until the present. As isillustrated, there is some relationship between trade volume graph 320and executed sub-order sales 365. Generally, executed sub-order sales365 should be illustrated as percentage of trade volume graph 320. Atarget trading curve 360 is also illustrated.

In FIG. 3, target trading curve 360 is illustrated as a fixed percentageof expected rate curve 310. As explained above, this is the targetquantity calculated as a result of trading strategy 163. However, targettrading curve 360 can itself be a non-linear function of expected ratecurve 310.

Visual interface 300 also includes a timing bar 325. A left edge 330 oftiming bar 325 can indicate when a financial instrument order from OMS110 was entered into order slicer 120. Alternatively, left edge 330 canindicate the beginning of graphing information for a particularfinancial instrument.

Timing bar 325 has within it also a time in force (TIF) bar 335_ A leftside 340 of TIF bar 335 sets the time the order is to become active, andtherefore individual sub-orders will be sold by order slicer 120. Aright side 350 of TIF bar 335 represents when the order is targeted tobe finished. Trader 140 can make a manual adjustment of left side 340and right side 350 to vary the start time parameter and stop timeparameter, respectively, used by order slicer 120.

Exec rate window 230 and TIF bar 335 display some of the sameinformation, and setting a change in either will show up as a change inthe other. For instance, a change in execution rate as expressed in execrate window 230 can change right side 340 and left side 350 of TIF bar335 to compensate for the change. This is because, as aggressivenesslevel has been changed by changing slider 232, and because the overallquantity of order 159 stays the same, it should take less time toexecute the trade for order 159.

A change in execution rate of exec rate window 230 changes targettrading curve 360. Through changing execution rate, the aggressivenesslevel is changed so, therefore, target percentage trading curve 360 alsochanges.

A variation of parameters expressed within TIF bar 335, changes thevisible representation within exec rate window 230 for order 159. Thisis because as the order 159 quantity stays the same, but the TIF alters.Thus, the exec rate of window 230 changes to compensate. As the execrate of exec rate window 230 is changed, average daily volume 220 (orother time average) would start to show an increase, as trade volumegraph 320 changes to target a heightened or lowered percentage of targetpercentage trading curve 360.

Referring to FIG. 4, there is illustrated is a visual indicator 400 thancan be generated in order slicer controller interface 135. Visualindicator 400, which could also be a bar graph or other visualindicator, shows the real rate of how large a percentage of the actualtraded quantity an order or sub-order of trader 140 is taking over anygiven time of the total volume of sales for a financial instrument.Trader 140 can monitor visual indicator 400 to ensure that the actualpercentage of sales that sub-order 175 represent is tracking anacceptable percentage.

For instance, a sale of sub-order 175 of order 159, representing 25% oftotal sales of a financial instrument in a given time could beacceptable, but suborder 175 representing 50% of total sales for a givenfinancial instrument might not be. Visual indicator 400 gives trader 140information in a format that aids trader 140 in resetting tradingobjective 185, trading parameter 141 or trading strategy 184.

FIG. 5 illustrates a method 500 for use with system 100. In step 510,market records 175 are forwarded to trader 140. The method then advancesto step 520.

In step 520, market predictions 177 for a selected financial instrumentare calculated in market predictor 174. The method then advances to step530.

In step 530, prices for the selected financial instrument are displayedas price display 302. Although illustrated as a single step for ease ofillustration, step 530 can be reiterated as the trading day progresses.The method then advances to step 540.

In step 540, expected rate curve 310 is generated. This prediction canbe performed with a hyperbola or other higher order function that modelspredicted behavior of sales activity of a financial instrument. Themethod then advances to step 550.

In step 550, the order type (that is, is it a “buy or sell” order), thestock identifier, the quantity of the stock, and so on, is input intoOMS 110.

In step 560, trader 140 sets the start time parameter for order 159initially through OMS 110, in. However, varying the start time parameteris performed by trader 140 through TIF bar 335 or another window orinput of order slicer controller interface 135. The method then advancesto step 570.

In step 570, trader 140 sets start stop time parameter for order 159initially through OMS 110. However, varying the stop time parameter isperformed by trader 140 through TIF bar 335 or another window or inputof order slicer controller interface 135. The method then advances tostep 580.

In step 580, order slicer controller 130 calculates and order slicercontroller interface 135 displays target trading curve 360. Also,trading strategy 131 is calculated, or alternatively, order slicercontroller 130 has trading strategy 184 input into it directly by trader140. In any event, trading strategy 131 is conveyed to order slicer 120to use as trading strategy 163 when using calculations using market data173. Order slicer controller 130 also calculates predicted volume ofsales a given financial instrument should have, based upon expected ratecurve 310, and illustrates this as target trading curve 360.

In step 582, order slicer 120 starts sub-order selling as function oftotal measured market transactions, as reported by market sales recorder172, and replaceable trading strategy 184. The method then advances tostep 584.

In step 584, order slicer controller interface 135 displays actual salesof the trader 140 as executed sub-order sales 365. These can be comparedto the overall volume sales of the financial instrument as illustratedin trade volume graph 320. The method then advances to step 586.

In step 586, trader 140 can decide to vary or replace trading strategy184, replaceable trading objective 185, or vary trading parameter 141.If trader 140 wishes, then method 500 loops back to step 560. If trader140 does not so wish, then method 500 advances to step 588.

In step 588, method 500 determines whether trader 140 is finished withthe entire trade. If trader 140 is not finished, then method 500 loopsback to step 586. However, if trader 140 is finished, method 500 stopsin step 590.

FIG. 6, illustrates a block diagram of a computer system 600 adapted foremployment of order slicer 120 and order slicer controller 130. Computersystem 600 includes order slicer 120. order slicer controller 130, orderslicer controller interface 135, database 170, OMS 110, and a network630. Order slicer 120 is coupled to order slicer controller 130. Network630 is coupled to order slicer 120 and order slicer controller 130. OMS110 is coupled in circuit to order slicer controller 130. Marketdatabase 170 is also coupled to network 630.

Order slicer 120 includes an order slicer processor 660 and memory 670.Memory 670 can be configured with any of a random access memory (RAM), ahard drive and a read only memory (ROM). Memory 670 includes a program680.

Program 680 includes instructions for controlling order slicer processor660 to execute the operations of order slicer 120 described above inassociation with FIGS. 1 to 5. For instance, as a result of execution ofprogram 680, order slicer processor 660 determines the quantity for theindividual sub-order sizes and stores this memory 670. Sub-orders arethen sent to market 119. Program 680 may be implemented as a singlemodule or as a plurality of modules that operate in cooperation with oneanother.

While program 680 is indicated as already loaded into order slicermemory 675, it may be configured on a storage media 690 for subsequentloading into memory 670. Storage media 690 can be any conventionalstorage media such as a magnetic tape, an optical storage media, acompact disk, or a floppy disk. Alternatively, storage media 690 can bea random access memory, or other type of electronic storage, located ona remote storage system.

Order slicer controller 130 includes an order slicer controllerprocessor 610, a memory 615, and a program 620. Memory 615 can beconfigured with any of random access memory (RAM), a hard drive and aread only memory (ROM). Memory 615 includes a program 620.

Program 620 includes instructions for controlling order slicercontroller processor 610 to execute the operations of order slicercontroller 130 described above in association with FIG. 1-5. Forinstance, as a result of execution of program 620, order slicercontroller processor 610 determines expected rate curve 310 and storesthis within order slicer controller memory 615. Program 620 may beimplemented as a single module or as a plurality of modules that operatein cooperation with one another.

While program 620 is indicated as already loaded into order slicercontroller memory 615, it may be configured on a storage media 635 forsubsequent loading into memory 615. Storage media 635 can be anyconventional storage media such as a magnetic tape, an optical storagemedia, a compact disk, or a floppy disk. Alternatively, storage media635 can be a random access memory, or other type of electronic storage,located on a remote storage system.

Order slicer controller 135 can present, among other interfaces,interface 200, visual interface 300, and visual indicator 400 on thedisplay, and provides a hardcopy of such displays via the printer.

Computer system 600 may be implemented on a general purposemicrocomputer, such as one of the members of the Sun™ Microsystemsfamily of computer systems, one of the members of the IBM™ PersonalComputer family, or any conventional work-station or graphics computerdevice. Although computer system 600 is represented herein as astandalone system, it is not limited to such, but instead can be coupledto other computer systems (not shown) or other order slicers 120 orother order slicer controllers 130 via a network 630. Order slicer 120can be controlled by a plurality of order slicer controllers 130, andorder slicer controller 130 can control or program a plurality of orderslicers 120.

It should be understood that various alternatives, combinations andmodifications of the teachings described herein could be devised bythose skilled in the art. The present invention is intended to embraceall such alternatives, modifications and variances that fall within thescope of the appended claims.

1. A securities transaction method comprising: capturing real-timemarket data of a financial instrument to calculate an expected tradingrate approximation; displaying to a trader a price and said expectedtrading rate approximation of said financial instrument; accepting fromsaid trader a trading order type, order volume, order start time andorder stop time for said financial instrument; displaying an interfacefor said trader to indicate a change of replaceable trading strategy byuse of a single indicia and receiving said single indicia to change saidreplaceable trading strategy; calculating, by an order slicer processor,a target trading rate based on a fixed percentage of said expectedtrading rate approximation and said replaceable trading strategyprovided by said trader as a single indicia; displaying to said tradersaid target trading rate; slicing and selling a portion of a totalvolume of trades for said financial instrument based on said targettrading rate; and displaying to said trader one or more results of saidsales of said financial instrument.
 2. The securities transaction methodof claim 1, further comprising: providing to said trader one or moreopportunities to modify one or more trading parameters prior tocompletion of selling said financial instrument.
 3. The securitiestransaction method of claim 2, further comprising: recalculating saidtarget trading rate based on said sales of said portions, said real-timemarket data and said single indicia.